Limit theorems for bipower variation of semimartingales

DOI10.1016/j.spa.2009.10.005zbMath1183.60010OpenAlexW2118722370MaRDI QIDQ2654158

Mathias Vetter

Publication date: 15 January 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.005

zbMATH Keywords

central limit theoremsemimartingalestable convergencebipower variationhigh-frequency observations

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17)

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Cites Work

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• Limit theorems for moving averages of discretized processes plus noise
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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